Correlation Between FactSet Research and ArcelorMittal
Can any of the company-specific risk be diversified away by investing in both FactSet Research and ArcelorMittal at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining FactSet Research and ArcelorMittal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FactSet Research Systems and ArcelorMittal SA ADR, you can compare the effects of market volatilities on FactSet Research and ArcelorMittal and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in FactSet Research with a short position of ArcelorMittal. Check out your portfolio center. Please also check ongoing floating volatility patterns of FactSet Research and ArcelorMittal.
Diversification Opportunities for FactSet Research and ArcelorMittal
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between FactSet and ArcelorMittal is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and ArcelorMittal SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ArcelorMittal SA ADR and FactSet Research is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on FactSet Research Systems are associated (or correlated) with ArcelorMittal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ArcelorMittal SA ADR has no effect on the direction of FactSet Research i.e., FactSet Research and ArcelorMittal go up and down completely randomly.
Pair Corralation between FactSet Research and ArcelorMittal
Considering the 90-day investment horizon FactSet Research Systems is expected to generate 0.5 times more return on investment than ArcelorMittal. However, FactSet Research Systems is 1.99 times less risky than ArcelorMittal. It trades about 0.33 of its potential returns per unit of risk. ArcelorMittal SA ADR is currently generating about 0.09 per unit of risk. If you would invest 45,406 in FactSet Research Systems on September 1, 2024 and sell it today you would earn a total of 3,661 from holding FactSet Research Systems or generate 8.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
FactSet Research Systems vs. ArcelorMittal SA ADR
Performance |
| Timeline |
| FactSet Research Systems |
| ArcelorMittal SA ADR |
FactSet Research and ArcelorMittal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with FactSet Research and ArcelorMittal
The main advantage of trading using opposite FactSet Research and ArcelorMittal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FactSet Research position performs unexpectedly, ArcelorMittal can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ArcelorMittal will offset losses from the drop in ArcelorMittal's long position.| FactSet Research vs. Dun Bradstreet Holdings | FactSet Research vs. Moodys | FactSet Research vs. MSCI Inc | FactSet Research vs. Intercontinental Exchange |
| ArcelorMittal vs. Olympic Steel | ArcelorMittal vs. Ternium SA ADR | ArcelorMittal vs. Gerdau SA ADR | ArcelorMittal vs. POSCO Holdings |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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